In a re-useable container or bag, combine wings, oil, and seasoning. Toss to coat. Refrigerate for 20-30 minutes to form a nice glaze.
Lightly grease air fryer basket or racks with cooking spray. Place chicken wings in basket or on racks, being sure to allow room for circulation. Cook in batches, if needed.
Set air fryer to 380°F and cook wings 12 minutes. Remove, flip wings, and cook 10 minutes more.
While wings cook, stir together all ingredients for sauce. Refrigerate until ready to serve.
When finished cooking, carefully remove wings from basket, and serve immediately with yogurt-lemon sauce.
To make this recipe in a conventional oven, bake on a rack in a sheet tray at temperature and times specified.